Windows Vista URL from desktop doesn't work

[Kerry]

With XP Pro I used to be able to drag a URL from IE7's address bar to my desktop and then, say the next day, click on it and it would open the web site. Now when I do it I notice that it enters say, "file:///C:/Users/Kerry/Desktop/Windows%20Vista%20Support.url" and with some sites the graphics are missing and its links don't work.

Any ideas how to fix this?

Thanks,

Kerry
Vista Ultimate